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- W3125896809 abstract "We prove that the ratio of kurtosis to the frequency of price changes is a sufficient statistic for the real effects of monetary shocks, measured by the cumulated output response following the shock. The sufficient statistic result holds in a large class of models which includes Taylor (1980), Calvo (1983), Reis (2006), Golosov and Lucas (2007), Nakamura and Steinsson (2010), Midrigan (2011) and Alvarez and Lippi (2014). Several models in this class are able to account for the positive excess kurtosis of the size- distribution of price changes that appears in the data. We review empirical measures of kurtosis and frequency and conclude that a model that successfully matches the micro evidence on kurtosis and frequency produces real effects that are about 4 times larger than in the Golosov-Lucas model, and about 30% below those of the Calvo model. We discuss the robustness of our results to changes in the setup, including small in ation and leptokurtic cost shocks." @default.
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- W3125896809 date "2016-04-01" @default.
- W3125896809 modified "2023-09-23" @default.
- W3125896809 title "The real effects of monetary shocks in sticky price models. A sufficient statistic approach" @default.
- W3125896809 hasPublicationYear "2016" @default.
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